Financial Derivatives Toolbox

Creating and Managing Instrument Portfolios

The Financial Derivatives Toolbox provides components for analyzing individual derivative instruments and portfolios containing several types of financial instruments. The toolbox provides functionality that supports the creation and management of these instruments:

• Bonds
• Bond Options
• Fixed Rate Notes
• Floating Rate Notes
• Caps
• Floors
• Swaps

Additionally, the toolbox provides functions for the creation of arbitrary cash flow instruments.

The toolbox also provides pricing and sensitivity routines for these instruments. (See Pricing and Sensitivity from Interest Rate Term Structure, Pricing and Sensitivity from HJM, or Pricing and Sensitivity from BDT for information.)

Hedging

Portfolio Creation